TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
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Publication:5408113
DOI10.1111/jtsa.12042zbMath1398.62053arXiv1306.1725MaRDI QIDQ5408113
Habib Esmaeili, Claudia Klüppelberg
Publication date: 8 April 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.1725
maximum likelihood estimation; dependence structure; Lévy copula; Godambe information matrix; IFM; inference functions for margins; reduced likelihood; multi-variate Lévy process; two-step parameter estimation
60G51: Processes with independent increments; Lévy processes
62F12: Asymptotic properties of parametric estimators
62F10: Point estimation
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